Stock Screen Combining Turnover, Prior-Day Leaderboard Status, and a Two-Day High
Summary
The screen selects stocks with turnover between 3% and 12%, a flag indicating appearance on the previous day’s trading leaderboard, and a current high equal to the highest high over the two-day window. It combines a trading-activity filter, a recent market-attention signal, and a short-term price-strength condition. The note provides example expressions for a Chinese charting platform and Python, using turnover, the leaderboard flag, and a rolling two-day high.
No backtest, sample universe, holding period, or return evidence is provided, so the screen’s effectiveness cannot be assessed from the document. The author flags the possibility of a pullback after a price high and recommends adding fundamental, technical, and capital-flow analysis, while considering broader market risk and unexpected events. The criteria also leave implementation choices unspecified, including how the selected stocks are ranked and when positions are entered or exited.
Key ideas
- The screen requires turnover between 3% and 12%.
- It includes stocks flagged as appearing on the prior day’s trading leaderboard.
- It requires the current high to match the highest high over two days.
- The note provides screening examples but no evidence of strategy performance.
- It warns of pullbacks after highs and suggests adding broader analysis.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.